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Fast approximation of solutions of sde’s with oblique reflection on an orthant

Czarkowski K. T.

Probability and Mathematical Statistics

2010

Vol. 30, Fasc. 1

167--182

We consider the discrete “fast” penalization scheme for SDE’s driven by general semimartingale on orthant Rd+ with oblique reflection.

Discrete approximations of reflected backward stochastic differential equations with random terminal time

Jańczak K.

Probability and Mathematical Statistics

2008

Vol. 28, Fasc. 1

41--74

We study convergence of discrete approximations of reflected backward stochastic differential equations with random terminal time in a general convex domain. Applications to investigation of the viability property for backward stochastic differential equations and to obstacle problem for partial differential equations are given.